Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0000
Annualized Std Dev 0.1277
Annualized Sharpe (Rf=0%) 0.0002

Row

Daily Return Statistics

Close
Observations 3626.0000
NAs 1.0000
Minimum -0.0813
Quartile 1 -0.0031
Median 0.0004
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.0811
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0080
Skewness -0.6713
Kurtosis 19.2402

Downside Risk

Close
Semi Deviation 0.0060
Gain Deviation 0.0057
Loss Deviation 0.0069
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0060
Downside Deviation (0%) 0.0060
Maximum Drawdown 0.3872
Historical VaR (95%) -0.0111
Historical ES (95%) -0.0199
Modified VaR (95%) -0.0115
Modified ES (95%) -0.0136
From Trough To Depth Length To Trough Recovery
2007-07-26 2009-02-02 NA -0.3872 3414 384 NA
2007-02-23 2007-03-05 2007-03-22 -0.0403 20 7 13
2006-10-25 2006-11-27 2006-12-15 -0.0257 37 23 14
2007-01-23 2007-02-01 2007-02-21 -0.0188 21 8 13
2007-06-20 2007-06-27 2007-07-09 -0.0137 13 6 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA 0.1 0.2 -0.4 -0.2 -0.4
2007 -0.3 -0.5 0.1 0.3 0.7 -0.5 0.2 0.2 0.8 -1.4 1 0.1 1
2008 0.9 -2 0.7 0.1 -0.3 -0.4 -0.8 -0.4 0 -0.2 -4.6 4.7 -2.6
2009 -1.1 -1.4 -0.5 0.8 2.1 -0.4 0.4 -1.7 -1 -1.9 1.1 0.8 -2.8
2010 0.6 0.5 0.4 -0.4 -0.6 -0.1 0.8 2.3 0.5 0.5 1.7 0.5 7
2011 0.6 -0.3 1.1 0 -1.5 0.4 0 -0.4 -0.4 -1.4 -0.3 0.4 -1.6
2012 0.7 0.4 0.2 -0.2 -0.6 1.3 -0.2 0.1 -0.3 0.6 0.1 0.8 3.2
2013 0.5 0.3 -0.6 -0.8 -1 0.3 0 -0.6 0.2 0.2 0.1 0.7 -0.7
2014 -0.2 -0.4 -0.1 0.1 0.2 0.3 0.1 0.1 -0.4 1 0.2 0.4 1.2
2015 0.3 0.4 -0.4 -0.9 -0.4 0.4 -0.3 -1.7 0 0.8 0.8 0.6 -0.4
2016 0 1 -0.3 -0.2 0.1 0 -0.6 -0.2 0.3 -0.2 0.2 -0.4 -0.3
2017 0 0.1 0 0.4 0 0.2 0.1 0.5 -0.1 0.2 0.6 -0.4 1.4
2018 -0.9 -1.1 0.9 0 -0.2 -0.6 0.1 -0.2 1.5 0.2 0.6 1.6 2
2019 0.2 -0.2 0.4 -0.5 -0.4 0.7 -0.7 0.2 -0.7 0.5 -0.6 0.1 -1
2020 -0.6 -0.7 -0.6 -2.1 1.1 -0.2 0.8 0 0 0.1 -0.2 0.6 -1.9
2021 0.1 0.6 -0.3 NA NA NA NA NA NA NA NA NA 0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-09-18  25.1 SPY    132.  0.0014    0.0133   0.0162   0.0685   0.07      0.278    0.267 GLD    58.2  0.0145  -0.0046
2 2006-09-19  25.0 SPY    132. -0.0025    0.0009   0.0086   0.0622   0.0708    0.260    0.267 GLD    56.9 -0.0225  -0.0238
3 2006-09-20  25   SPY    133.  0.0053    0.0022   0.0183   0.06     0.0857    0.278    0.300 GLD    57.3  0.006   -0.0232
4 2006-09-21  24.9 SPY    132. -0.00480  -0.0027   0.0134   0.0595   0.0906    0.286    0.336 GLD    58.0  0.0121   0.0133
5 2006-09-22  24.8 SPY    131. -0.003    -0.0037   0.0132   0.0565   0.0835    0.277    0.352 GLD    58.5  0.0095   0.0192
6 2006-09-25  25   SPY    132.  0.0077    0.0026   0.0218   0.0599   0.0909    0.310    0.316 GLD    58.5  0        0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart